VALUE RELEVANCE OF EARNINGS, BOOK VALUE, AND DEBT TOWARD STOCK PERFORMANCE:
NON-LINEAR RELATIONSHIP
(Study at Manufacturing Companies Listed in BEI on 2014)
THESIS
Submitted in Fulfillment of Requirements For Obtaining The Bachelor of Economics
By
BANIA PUTRI NIM.7123220009
FACULTY OF ECONOMY STATE UNIVERSITY OF MEDAN
ABSTRACT
Bania Putri. 7123220009. Value Relevance of Earnings, Book Value, and Debt toward Stock Performance: Non-Linear Relationship (Study at Manufacturing Companies Listed in BEI on 2014. Thesis, Program of Accounting Department, Faculty of Economy, State University of Medan, 2016.
The problem in this research is whether earnings, book value, and debt have value relevance toward stock performance with non-linear relationship. The purpose of research is to examine the value relevance of earnings, book value, and debt toward stock performance with non-linear relationship.
The population in this study are all manufacturing companies listed in Indonesia Stock Exchange in 2014. From 134 listed companies, 122 companies selected sample using purposive sampling method. Data used in this research is secondary data, by collecting the financial statements of the Indonesia Stock Exchange website on the internet site www.idx.co.id. Technical data analysis using non-linear regression analysis.
Partial results of non-linear regression with significance level α = 5% shows that Earnings has value relevance towards stock performance with coefficient on 0,530 but not significant since the significance is 0,249. Book value has value relevance towards stock performance with coefficient on 0,038 but not significant since the significance is 0,664. Debt has value relevance towards stock performance with coefficient on 0,441 but not significant since the significance is 0,403 and other turning result of debt with negative effect toward stock performance has no significant effect with coefficient -0,357 but not significant since the significance is 0,351. The conclusions of the research is that partially, earnings, book value, and debt has no value relevance toward stock performance with non-linear relationship. However, by comparing the result of coefficient determination test, non-linear model still has better explanatory power than linear one.
ABSTRAK
Bania Putri. NIM 7123220009. Relevansi Nilai Laba, Nilai Buku, dan Hutang terhadap Kinerja Saham: Hubungan Non-linier (Studi pada Perusahaan Manufaktur yang Terdaftar di BEI pada Tahun 2014). Skripsi, Program Studi Akuntansi, Fakultas Ekonomi, Universitas Negeri Medan, 2016.
Permasalahan yang dibahas dalam penelitian ini adalah apakah laba, nilai buku, dan hutang memiliki relevansi nilai terhadap kinerja saham dengan hubungan non-linier. Penelitian ini ditujukan untuk mengetahui bukti empiris dari relevansi nilai laba, nilai buku, dan hutang terhadap kinerja saham dengan hubungan non-linier.
Populasi dalam penelitian ini adalah seluruh perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia tahun 2014. Dari 134 perusahaan yang terdaftar, dipilih 122 perusahaan sampel dengan menggunakan metode purposive sampling. Data yang digunakan dalam penelitian ini adalah data sekunder, dengan cara mengumpulkan laporan keuangan dari situs Bursa Efek Indonesia pada situs internet http://www.idx.co.id Teknik analisis data yang dilakukan dengan menggunakan analisis regresi non-linier.
Hasil regresi non-linier secara parsial yang diperoleh dengan taraf signifikansi α = 5% menunjukkan bahwa laba memiliki relevansi nilai terhadap terhadap kinerja saham dengan koefisien sebesar 0,530 namun tidak signifikan karena signifikansi sebesar 0,249. Nilai buku memiliki relevansi nilai terhadap terhadap kinerja saham dengan koefisien sebesar 0,038 namun tidak signifikan karena signifikansi sebesar 0,664. Hutang memiliki relevansi nilai terhadap kinerja saham secara positif dengan koefisien sebesar 0,441 namun tidak signifikan karena signifikansi sebesar 0,403. Dampak lain dari hutang secara negatif terhadap kinerja saham adalah dengan adanya koefisien sebesar -0,357 namun tidak signifikan karena signifikansi sebesar 0,351. Kesimpulan dari penelitian ini adalah bahwa laba, nilai buku, dan hutang tidak memiliki relevansi nilai terhadap kinerja saham dengan hubungan non-linier. Namun, dengan membandingkan hasil dari uji koefisien determinasi, model non-linier masih mampu menjadi option penjelas yang lebih baik daripada model linier.
ACKNOWLEDGEMENT
Praise and worship to Allah SWT for blessing and giving the author ease
at heart to complete this thesis with title “Value Relevance of Earnings, Book Value, and Debt toward Stock Performance: Non-Linear Relationship (Study at Manufacturing Companies Listed in BEI on 2014)”. This thesis intended to fulfill the requirement for undergraduate program in Accounting Department on
Faculty of Economics, State University of Medan.
There are many people who contributed to this thesis in many ways, from
giving me advice on the research to personal support during on-going research
and special thanks to:
1. Prof. Dr. Syawal Gultom, M.Pd. as The Rector of State University of Medan.
2. Prof. Indra Maipita, M.Si, P.hD, as The Dean of Faculty of Economy.
3. Dr. Eko Wahyudi Nugrahadi, M.Si as The Vice Dean of Academic of Faculty
of Economy
4. Muhammad Ishak, SE, M.Si, Ak, CA as The Chief of Accounting
Department and also as The Examiner for examining and giving comments
and suggestions for the thesis.
5. Dr. Nasirwan, SE, M.Si, Ak, CA as The Secretary of Accounting Department
6. Chandra Situmeang S.E., M.S.M., Ak, CA as The Advisor for giving full time
for suggestion, advice, support and motivation when I was conducting the
7. Drs. Jihen Ginting, M.Si., Ak, CA as The Examiner for examining and giving
comments and suggestions for the thesis.
8. Tapi Rumondang S. Siregar, S.E, M.Acc as The Examiner for examining and
giving comments and suggestions for the thesis.
9. All Lecturers for giving me good and challenging times on classes, thank you
Sirs and Mams! You are awesome!
10. Staff on Accounting Department, Mr. Ricky Adrian for patience on handling
the quite bold students like me and the other students. Thank you!
11. My beloved family. My father: Drs. Bachtiar, M.Pd, for his endless support
and gentleness whom is the first reason for me to keep struggling until today;
my mother: Cut Ida Farida, for her being, I am who I am today; my elder
sister: Dr. Baida Soraya, SP, M.P, M, Si., for her patience and awesome
perspectives that being my top-list of mood-booster source, my younger
sister: Rabina Mulia Sari as medical student, for her being so daring to
fighting for her own that inspire me to keep being a proud sister for her; and
my younger brother as the cutest being ever: Amal Sabi, for his being that
keep making me remember that the existance of my father is keep flowing on
our blood.
12. Thank you for my supportive friend especially on this hard times on finishing
thesis, Nurhafni Siregar and Sry Desriza Koto. Thank you for being awesome
friends!
13. Thank you for Leticia Agnes Simanjuntak and Tuty Orbit S. Zalukhu for the
14. Thank you for Elsa De Balqis for being my partner-in-crime under Sir
Chandra’s supervising.
15. All of my friends in Accounting Major that I cannot mention one by one.
Thank you for your friendship as long as we together.
16. All people who contributed to this thesis completion that I can’t mentioned
one by one.
The author realizes that the thesis is far away from perfect. Therefore if there
are any errors in this thesis as well as shortcomings, the author accept criticism
and constructive suggestions to perfect this research. Finally, the author hopes this
thesis may be useful for related society, institution and other researchers.
Medan , March 2016
TABLE OF CONTENTS
ABSTRACT……...………..…. i
ABSTRAK...………... ii
ACKNOWLEDGMENT………... iii
TABLE OF CONTENT………... vi
TABLE LIST ………...…………. x
FIGURE LIST………...………... xi
APPENDIX LIST……….. xii
CHAPTER I INTRODUCTION .. ……… 1
1.1 Background of Problem .. ………... 1
1.2 Identifications of Problems .. ……….. 5
1.3 The Limitation of Problem .. ………...……… 5
1.4 Research Questions..……….…... 6
1.5 Objectives of Research ..………. 6
1.6 Benefit of Research..………... 7
CHAPTER II REVIEW OF LITERATURE ……….. 8
2.1 Theoritical Review ..………... 8
2.1.1 Financial Statement ..………... 8
2.1.2 Value Relevance of Accounting Information ………. 11
2.1.3. Stock Performance……….. 12
2.1.4 The Value Relevance of Earnings ………. 13
2.1.6 The Value Relevance of Debt ………. 25
2.2 Previous Research ……… ……… .29
2.3 Research Framework ……… ………… 31
2.4 Hypothesis ……… ……… ……... 33
CHAPTER III RESEARCH METHOD ………. 34
3.1 Location and Time of Research ……….... 34
3.2 Population and Sample……… ………. 34
3.3 Research Variable and Operation Definition ……….... 35
3.3.1 Research variable ……… ………….. 35
3.3.2 Operational definition ……… ……... 35
3.3.2.1 Dependent variable ……… ……… 35
3.3.2.2 Independent variable ……… ……. 36
3.3.2.2.1 Earnings ……… ……….. 36
3.3.2.2.2 Book Value ……… ………. 36
3.3.2.2.3 Debt ……… ………. ….. 36
3.4 The Technique of Data Collection ……….37
3.5. The Technique of Data Analysis ………. 37
3.5.1 Descriptive Statistics Test ………. ……37
3.5.2 The Classical Assumptions ………. …. 38
3.5.2.1 Normality Test ………. ………. 38
3.5.2.2 Multicolinearity Test ………. ……... 38
3.5.2.3 Heterocedasticity Test ………. ……...38
3.5.3 Regression Analysis………...39
3.5.4 Hypotesis Test ………. ……….. .40
3.5.4.1 Determination Coefficient Test (R2) ……….. .40
3.5.4.2 Partial Significance Test (t-test) ………40
CHAPTER IV RESEARCH RESULT AND ANALYSIS ………...41
4.1 Research Result ………. ………...41
4.1.1 General View of Sample ………. ……....41
4.1.2 Data Selection ………. ………. ..45
4.1.2.1 Earnings ………. ………..45
4.1.2.2 Book Value (BV) ………. …………....45
4.1.2.3 Debt ………. ………...46
4.1.2.4 Stock Performance ………. …………..46
4.1.3 Result of Data Analysis ………. ……….47
4.1.3.1 Descriptive Statistics Test ………. …..47
4.1.3.2 Classical Assumption Test ………. ….48
4.1.3.2.1 Normality test ………. ………..48
4.1.3.2.2 Multicolinearity test ………. ……....49
4.1.3.2.3 Heterocedasticity test ………. ……..50
4.1.3.2.4 Linearity test ………. ………...51
4.2 Regression Analysis ………. …………...52
4.2.1 Multiple Regression Analysis ………..52
4.2.2 Result of Determination Coefficient Test (R2) ………...53
4.3 Discussion ………. ……….57
4.3.1 Value Relevance of Earnings ………. ....57
4.3.2 Value Relevance of Book Value ………..57
4.3.3 Value Relevance of Debt ………. ……..58
4.3.4 Discussion about Indonesia Capital Market (Justification for Low Rate of R Square) ………. ………59
CHAPTER V CONCLUSION AND SUGGESTION ……….61
5.1 Conclusion ………. ………...61
5.2 Limitation ………. ………....61
5.3 Suggestion ………. ………...62
REFERENCES ………..63
TABLE LIST
Table 2.1 Previous Research ... 29
Table 4.1 Determination of Sample ... 41
Table 4.2 List of Selected Manufacturing Companies ... 42
Table 4.3 Descriptive Statistics Test ... 47
Table 4.4 Normality Test Before Outlier ... 48
Table 4.5 Normality Test After Outlier ... ...49
Table 4.6 Multicolinearity Test ... 50
Table 4.7 Heterocedasticity Test... 50
Table 4.8 Linearity Test 1 ... 51
Table 4.9 Linearity Test 2 ... 51
Table 4.10 The Regression Result ... 52
Table 4.11 The Determination Coefficient Test (Non linear model) ... 54
Table 4.12 The Determination Coefficient Test (Linear model) ... 54
FIGURE LIST
APPENDIX LIST
Appendix A
Result of Data Tabulation
Appendix B SPSS Result
CHAPTER I INTRODUCTION
1.1 Background of Problem
Go-Public company is accostumed to be society’s possession and is
demanded to preserve public reliance. One of the preserve action is providing
actual information for investors. The information could refer to incidentil
reporting and periodic reporting such as audited financial-reporting. According to
capital market laws Number 8 year 1995 par. 86 obligate company to report to
Bapepam and society about material events that could influence stock
performance no longer than the end of 2nd day after the events. The information
is required for investors to analyze risk rate and predict balanced return from their
investment.
According to IFRS (2010:1) the objective of general purpose financial
reporting is to provide financial information about the reporting entity that is
useful to existing and potential investors, lenders and other creditors in making
decision about providing resources to the entity. Moreover, it is directed at users
who provide resources to a reporting entity, but lack the ability to compel the
entity to provide them with the information they need to make decisions about
their investment. In order to provide this, financial statements should live up basic
characteristics. One of the basic qualitative characteristics of financial statements
is relevant. According to IFRS (2010:2), the relevant accounting information
them to evaluate past, present, and future events, and also determining or
correcting the evaluation of the past.
Francis and Schipper (1999) explain the value-relevance of financial
reporting could be measured by the ability of the financial reporting to seize and
comprehend any accounting information that impact the stock return. Value
relevance is also defined as the ability of accounting numbers contained in the
financial statement to explain the stock market performance (Beisland, 2009).
Hence, the accounting information is supposed to be assistance for investors on
decision-making. However, Francis and Schipper (1999) reported the relevance of
financial statement toward investors’ decision-making has declined since the
decline of value relevance. Lev and Zarowin (1999) also found that the value
relevance of reported earnings and book equity have deteriorated over the past 20
years. In Indonesia, Pinasti (2004) also found the decline of value relevance of
accounting information on 1990-2001. Sari (2004) also conducted research that
examined the value relevance of earnings on the before and after crisis period
(1995-1998) and found the value relevance of earnings has declined on the period.
Earnings is one of the accounting information which have drew investors’
investment decision. The stock price of the three live-stock food, PT Charoen
Pokphan Indonesia Tbk (CPIN), PT Japfa Comfeed Indonesia Tbk (JPFA), and
PT Malindo Feedmill Tbk (MAIN), have been decreased since the sales of the
companies have declined for the three kuartal of 2014 (Katadata.co.id). Investors
react to earnings since it is the indicator to evaluate the past and predict the future
influence investors’ decision is related to the persistance of earnings. Earnings
might contain transitory and permanent income and there is no acceptable method
has been developed to decomposing the two components of earnings. However,
Ali and Zarrowin (1992) have conducted research toward return-earnings relation
and they found the transitory items could lead the bias estimation on
return-earnings relationship and it is also supported by Cain et al (2014). Rahmawati
(2005) and Djadmiko (2008) also found that transitory items on earnings might be
less relevant or interfere the return-earnings relationship.
Book value is also one of the accounting information that has been taking
a part on capital market-based accounting research. Barth et al (1998) found book
value relatively becomes more important explanatory variable for stock returns
than earnings when firm’s financial health is deteriorates. However, the
restrictiveness of book value is about the errors on measurement and judgements
(Kieso, et al 2007). Some empirical studies on book value items compare the
historical cost and fair value estimations. Historical cost is labelled as more
reliable but fair value is taking the part of relevance. When we focus on value
relevance, we presumed that fair value is better estimation than historical cost.
However, when there are crisis or the imperfect market, fair value might be less
relevant and lead to occurance of misinterpretation of book value items (Bignon,
et al 2009).
Debt is one component of financial item that might take investors’ interest.
Debt is one of the capital-structure’s option that being prioritized by both internal
tax benefit. The trade-off theory by Modigliani and Miller (1958) mentions about
the balance of cost and benefit of debt. The debt could boost up company’s
performance since it could support the shortage of financing for operational
activities. Boosting up perfomance is the sign for the promising return in the
future. However, the interest rate of debt and the bankruptcy possibly occur when
the cost has taken over the benefit of debt financing. Hence, the rate of return
possibly decrease.
Therefore, the fact about value relevance of accounting informations have
been declined for years, then the urgent of discovering the cause and solution is
emerging. Since the value relevance of earnings, book value, and debt have
dynamics on their own -the transitory items on earnings, the debate beetween the
fair value and historical cost measurement of book value items, and the trade-off
theory of debt- blend on the value relevance of the three accounting informations,
then the non-linear model is presumed to make them more relevant for investors’
decision-making since the business environment in the real world, however, is not
certain. Non-linear model is the function that relating the dependent variable with
the independent variable which is not contant with the alteration of the
independent variable. (Suharyadi and Purwanto 2009:252).
The research will be conducted with few differences with the previous
research conducting by Djadmiko (2008). This research adds debt as additional
variable and exclude the size as variable. The research focuses on manufacturing
Therefore, the title of the research is “Value Relevance of Earnings,
Book Value, and Debt toward Stock Performance: Non-Linear relationship (Study at Manufacturing Companies listed in BEI on 2014)”
1.2 Identifications of Problems
1. Have the value relevance of accounting informations also declined for the
past decade?
2. Is there any earnings valuation for decomposing the transitory and
permanent items on earnings?
3. Is fair value being more relevant than historical cost?
4. How is debt able to either boost up and decrease the rate of return?
5. Could non-linear model represent the value relevance of accounting
information to be more relevant?
6. Why does manufacturing industries is used as the population of value
relevance research?
1.3 Limitation of Problem
Since the non-linear model is presumed to make the accounting
information being more relevant for investors, than the valuation of decomposing
earnings items, the comparison of book-value’s measurement and method of cost
and benefit of debt would not be examined seperately.
In addition, Biddle et al (1991) found that return-earnings relationship
differs across industries and Alali and Foote (2008) also found that
return-earnings is varied by years and industry, then the research would focus on one
had conducted reasearch on banking industry with the reason for banking
industry to be more regulated than other industries. Also, manufacturing industry
has more judgment on considering certain factors of additional financing source.
1.4 Research Questions
1. Do earnings have value relevance towards stock performance with
non-linear relationship?
2. Does book value have value relevance towards stock performance with
non-linear relationship?
3. Does debt have value relevance towards stock performance with
non-linear relationship?
1.5 Objectives of Research
1. The research is conducted to examine the value relevance of earnings
towards stock performance with non-linear relationship
2. The research is conducted to examine the value relevance of book value
towards stock performance with non-linear relationship
3. The research is conducted to examine the value relevance of debt towards
1.6 Benefit of Research
1. For the academician, as the training to participate into accounting research
area and also increase the knowledge of value relevance of accounting
information
2. For UNIMED, as the addition research of the accounting area especially
the relevance of accounting information
3. For the object, as the revaluation of the related standards of accounting
CHAPTER V
CONCLUSION AND SUGGESTION
5.1 Conclusion
From research analysis and discussion which has been elaborated before
and based on data obtained from research as which has been discussed in this
thesis, hence the conclusion are as follows.
1. Earnings has no value relevance towards stock performance with
non-linear relationship.
2. Book value has no value relevance toward stock performance with
non-linear relationship.
3. Debt has no value relevance towards stock performance with non-linear
relationship.
4. From the partial test, non-linear relationship of earnings, book value, and
debt toward stock performance is not significant. However, the non-linear
model still has better explanatory power than linear one. It could observe
by the coefficient determination arise when using non-linear model.
5.2 Limitation
The research has limitation as follow:
1. The research do not observe the value relevance of cash flow. Few
researches have compared between earnings and cash-flow though Stice et
al (2007) stated that earnings provides a better indication of firm
are more strongly associated with stock return over short measurement.
however, cash flow improves when the interval is lengthened.
2. The research do not unticipated the macro factors that might interfere on
the capital-market research.
3. The research do not make comparison for the interval length since Brimble
and Hodgson (2005) found that both on linear and non-linear model of
value relevance studies, R2 increased with the additional interval length.
4. The research to make comparison between financial and non-financial
industries, since Djadmiko (2005) conducted research on financial
companies and this research on manufacturing companies, lead into
different result.
5.3 Suggestion
Based on conclusions explained before and research findings, hence
submitted suggestions as follows.
1. Suggestion for next researcher to observe the other accounting information
e.g., value relevance of cash flow.
2. Suggestion to anticipate the macro factors on value relevance studies
3. Suggestion to make comparison for the interval length
4. Suggestion to make comparison between financial and non-financial
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